Purchasing power parity and country characteristics: Evidence from panel data tests

• 成果类型: Article
• 署名作者: Alba, Joseph D.; Papell, David H.
• 署名单位: University of Houston System; University of Houston; Nanyang Technological University
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2005.09.006
• 发表日期: 2007
• 页码: 240-251
• 关键词: purchasing power parity; Country characteristics; panel unit root tests

摘要

We examine long-run purchasing power parity (PPP) using panel data methods to test for unit roots in US dollar real exchange rates of 84 countries. We find stronger evidence of PPP in countries more open to trade, closer to the United States, with lower inflation and moderate nominal exchange rate volatility, and with similar economic growth rates as the United States. We also show that PPP holds for panels of European and Latin American countries, but not for African and Asian countries. Our findings demonstrate that country characteristics can help explain both adherence to and deviations from long-run PPP. (C) 2006 Elsevier B.V. All rights reserved.